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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/133653


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/133653


    题名: Tiered Information Disclosure: An Empirical Analysis of the Advance Peek into the Michigan Index of Consumer Sentiment
    作者: 張元晨
    Chang, Yuanchen
    Wu, Weishao
    Liu, Wenchien
    Suardi, Sandy
    贡献者: 財管系
    关键词: informed trading;high-frequency traders;advance peek;information efficiency;price discovery
    日期: 2019-08
    上传时间: 2021-01-21 09:47:06 (UTC+8)
    摘要: This paper studies market microstructure implications of informed high‐frequency traders (HFTs) from two seconds of advance peek into the Michigan Index of Consumer Sentiment (ICS), provided by Thomson Reuters to its elite customers. Using individual stocks in the NASDAQ data set, we show how HFTs trade around ICS events. We find that liquidity demanders during two seconds of advance peek earn substantive profits, which are consistent with the notion that HFTs’ informational advantages may increase adverse selection costs for other market participants. This evidence elucidates the debate on regulatory oversight and its role in circumventing the potentially adverse effects from an advance peek into ICS.
    關聯: Financial Review, Vol.54, pp.541-582
    数据类型: article
    DOI 連結: https://doi.org/10.1111/fire.12184
    DOI: 10.1111/fire.12184
    显示于类别:[財務管理學系] 期刊論文

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